Autumn Gold CTA Report
Report Start Date: Jan-2020 - Report End Date: Oct-2025

AlphaQuest LLC - AlphaQuest Original
Trading Strategy: Short-Term / Momentum / Diversified
Investment Restrictions: 4.7 Exempt - QEPs Only
Performance Since January 2020 | Please See Accounting Notes
JanFebMarAprMayJunJulAugSepOctNovDecROR Max DD
20251.83%-3.68%3.72%-1.45%-2.86%-0.80%-4.17%-4.33%0.24%1.75%––-9.66%-13.02%
20242.81%-0.29%5.65%7.45%-4.58%-1.12%-4.92%-1.24%4.79%-6.45%-0.03%-3.13%-2.11%-15.89%
2023-4.21%-0.26%-7.43%2.08%-1.77%0.22%0.85%-5.85%7.48%-0.54%-2.31%-1.16%-12.89%-15.61%
2022-0.60%0.69%13.38%9.81%-0.73%1.23%-1.70%2.00%7.19%-2.54%-5.72%1.26%25.23%-8.11%
2021-4.84%13.09%2.90%2.68%-1.23%-0.33%0.74%-1.82%-0.12%7.65%-4.82%-1.90%11.13%-6.63%
20207.32%0.58%8.81%-0.18%-4.36%-0.43%5.35%-3.43%-6.69%0.17%-4.29%1.44%3.07%-13.61%

Program Description: AQO is a short term momentum strategy with trades lasting 8 days on average. Trades are filtered for maximum volatility expansion potential and are timed using short term trade entry techniques. Trading systems are weighted within the portfolio based on their contributions to targeted volatility and drawdown levels. Integrated risk models manage risks by monitoring volatility metrics, market liquidity and sector exposure limits.
Investment Information

Program Start Date Feb-2002
Percent Discretionary 100%
Currency Denomination US Dollar
Minimum Investment $250,000
Minimum Fund Investment $250,000
Management Fee 1.50%
Incentive Fee 20.00%
Margin 15-35%
Round Turns per Million 1,600
NFA No: #0309370
Trading Strategy


Discretionary: 100.0%
Market Segment


Program Statistics
Peak-to-Valley Drawdown (2) - Sep 2022 to Aug 2025 -29.73%
Worst Month (Feb 2002) -13.71%
Current Losing Streak -28.33%
Average Monthly Return 0.7%
Annualized Performance
Compound ROR (1) 6.82%
Standard Deviation18.94%
Calmar Ratio (3)-0.35
Profit Loss Ratio1.42

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES. A COMPLETE DISCUSSION OF FEES AND CHARGES ARE REPORTED IN THE CTA'S DISCLOSURE DOCUMENT.

 

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

© 2025 Ascent Capital Management
311 S Wacker Drive, Suite 600 * Chicago, IL 60606
Direct 312-283-3350 * [email protected] * www.ascentcm.com


Autumn Gold CTA Report
Report Start Date: Jan-2020 - Report End Date: Oct-2025

Time Window Analysis
Length Best Average Worst
1 mo13.4%0.2%-7.4%
3 mo25.4%0.5%-11.6%
6 mo25.4%0.8%-17.7%
12 mo35.3%2.4%-19.6%
18 mo43.8%5%-24%
24 mo45.5%7.3%-16.5%
36 mo43.5%8.6%-29.6%
Drawdowns and Recoveries
Start End Drawdown Recovery
Oct-22n/a-29.74%2 mo
Aug-20Oct-21-16.61%9 mo
Nov-21Mar-22-7.19%2 mo
Apr-20Jul-20-4.94%1 mo
Jul-22Aug-22-1.70%1 mo
May-22Jun-22-0.73%1 mo
Statistical Comparisons AlphaQuest LLC
AlphaQuest Original		 AutumnGold
AG CTA Index
Remove		 S&P 500
SP 500 TR
Remove
Annualized Compound ROR (1)1.72%4.92%15.48%
Cumulative Return10.49%32.32%131.57%
Cumulative VAMI(7)1,1051,3232,316
Best Monthly Return13.38%2.99%12.82%
Worst Monthly Return-7.43%-1.27%-12.35%
Annual Standard Deviation15.65%3.28%17.39%
Profit Loss Ratio1.163.331.90
Correlation—0.63-0.27
Last Month1.75%1.28%2.34%
Last 12 Months-12.52%3.21%21.46%
Last 24 Months-14.62%8.73%67.63%
Last 36 Months-26.46%9.47%84.63%


Growth of $1,000 VAMI Comparison

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES. A COMPLETE DISCUSSION OF FEES AND CHARGES ARE REPORTED IN THE CTA'S DISCLOSURE DOCUMENT.

 

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

© 2025 Ascent Capital Management
311 S Wacker Drive, Suite 600 * Chicago, IL 60606
Direct 312-283-3350 * [email protected] * www.ascentcm.com


Autumn Gold CTA Report
Report Start Date: Jan-2020 - Report End Date: Oct-2025


RISK DISCLOSURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISORS CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES. A COMPLETE DISCUSSION OF FEES AND CHARGES ARE REPORTED IN THE CTA’s DISCLOSURE DOCUMENT. SPECIFICALLY, ONE SHOULD RECOGNIZE THAT GCC ASSET MANAGEMENT, INC. CHARGES A FRONT-END START-UP FEE OF UP TO 3% OF THE INITIAL CONTRIBUTION. PLEASE NOTE THAT THIS CHARGE IS NOT REFLECTED IN THE PERFORMANCE OF THE COMMODITY TRADING ADVISOR AND COULD HAVE A SIGNIFICANT IMPACT ON THE CUSTOMER’S ABILITY TO ACHIEVE SIMILAR RETURNS.

Accounting Notes
For the periods Feb 2002 through Oct 2002 and Feb 2005 through Jan 2009, the performance shown represents the pro forma extracted trading results of one client account managed by Quest. Beginning Feb 2009, the performance shown represents the total trading results of client accounts in this program and therefore no longer includes extracted performance or pro forma adjustments.

An Important Note on the Start Date and End Date of this Report
If the Start Date of this Report Predates the Inception of the Program, the Maximum Drawdown from Inception may be larger than indicated in this report. Performance Results reported or amended subsequent to Saturday November 15, 2025 are not reflected in this Report. Monthly ROR and drawdowns are based on end-of-month values and do not reflect intramonth volatility.

Historical Drawdowns and Recoveries
The drawdown begins in the month listed as "start." Length is in months. Recovery begins the following month and ends when full recovery is reached.

Qualified Eligible Persons

THIS PROGRAM IS ONLY OPEN TO INVESTORS FITTING THE DEFINITION OF A QUALIFIED ELIGIBLE PERSON AS THAT TERM IS DEFINED UNDER CFTC REGULATION 4.7(A). A Qualified Eligible Person must meet the following two requirements:

    1. Must be an accredited investor (e.g., $1,000,000 net worth or $200,000 individual income / $300,000 joint income for 2 years).
    2. Must meet a portfolio test (e.g., $4,000,000 in securities or $400,000 in required margin deposits).

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS INFORMATION IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE CFTC. THE CCFTC DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE CFTC HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS DOCUMENT.

Statistical Footnotes
1) The Annualized Compounded Rate of Return (ACROR) represents the compounded rate of return for each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. It smooths out the returns by assuming a constant growth.
2) Peak to Valley Drawdown = worst % loss between Jan-2020 and Oct-2025
3) Calmar Ratio uses the last 36 months of data.

Benchmark Descriptions
AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index.

SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends.

This report was prepared from trader-provided information and is believed to be reliable. It should be read alongside each Trader’s Disclosure Document or Fund Offering Document.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES. A COMPLETE DISCUSSION OF FEES AND CHARGES ARE REPORTED IN THE CTA'S DISCLOSURE DOCUMENT.

 

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

© 2025 Ascent Capital Management
311 S Wacker Drive, Suite 600 * Chicago, IL 60606
Direct 312-283-3350 * [email protected] * www.ascentcm.com